Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0434 |
| Annualized Std Dev | 0.2772 |
| Annualized Sharpe (Rf=0%) | 0.1565 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1611 |
| Quartile 1 | -0.0072 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0086 |
| Maximum | 0.2075 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | -0.0590 |
| Kurtosis | 12.4488 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0124 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0125 |
| Downside Deviation (0%) | 0.0125 |
| Maximum Drawdown | 0.6972 |
| Historical VaR (95%) | -0.0260 |
| Historical ES (95%) | -0.0418 |
| Modified VaR (95%) | -0.0243 |
| Modified ES (95%) | -0.0253 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6972 | 3369 | 339 | NA |
| 1999-07-07 | 2001-09-21 | 2003-09-15 | -0.3462 | 1053 | 556 | 497 |
| 2007-07-24 | 2007-08-16 | 2007-09-24 | -0.2046 | 44 | 18 | 26 |
| 2004-04-13 | 2004-05-10 | 2004-09-30 | -0.1603 | 119 | 20 | 99 |
| 2006-05-10 | 2006-06-13 | 2006-10-26 | -0.1588 | 119 | 24 | 95 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.9 | -0.6 | 1.2 | 0 | -3 | 0.6 | 1.1 | 4.4 | -0.6 | -1.2 | -1.2 | 0 | 2.3 |
| 2000 | -0.6 | -0.6 | -4.2 | -1.3 | 1.3 | 1.8 | 0.6 | 1.3 | -0.7 | 1.4 | 2.1 | -1.3 | -0.4 |
| 2001 | 0.6 | -0.2 | -1.8 | 0.5 | 0.4 | 0.8 | 3.5 | -2.5 | 5.3 | 1.9 | -0.1 | 0.4 | 9.1 |
| 2002 | -1.1 | 0.2 | -0.6 | -0.5 | 0.8 | -0.6 | -1.5 | 1.7 | 4.1 | 1.3 | 0.8 | -1 | 3.4 |
| 2003 | 1.3 | 0.8 | 0.2 | 0.7 | 1 | 0.1 | 0.6 | 1.3 | 1.1 | -0.2 | 0.4 | 0.9 | 8.5 |
| 2004 | 0.4 | 1.2 | 2.1 | -0.4 | -0.1 | -0.9 | 0.5 | 1 | 0.6 | 0.7 | 0.2 | 0.6 | 6 |
| 2005 | 1 | -0.6 | 0.7 | 0.9 | 0.8 | -1 | 0.5 | 2.1 | -0.8 | -0.3 | 1.9 | -0.2 | 5 |
| 2006 | -0.5 | -0.5 | -0.2 | 1 | -0.4 | 0.2 | -0.4 | 0.5 | 0.1 | 1.7 | -1.5 | -1 | -1 |
| 2007 | -0.3 | -0.4 | 0.9 | 0.1 | 1 | -0.1 | -1.8 | 3 | 2.5 | -3.8 | 0.9 | -1 | 1 |
| 2008 | 5.8 | -4.6 | 2.4 | 0.6 | 0.9 | -1.9 | -2.8 | -0.6 | 1 | -1.6 | -8.5 | 4.6 | -5.2 |
| 2009 | -1.4 | -1.5 | 1.7 | 0.8 | 4.2 | 0.4 | 1.7 | -2.1 | -3.6 | -4.3 | 2.4 | 0.2 | -1.8 |
| 2010 | 2.4 | 2.8 | 1.9 | -2.2 | -3.1 | 0.1 | 0 | 5.6 | 1.1 | 0.7 | 2.8 | 0.1 | 12.4 |
| 2011 | 2 | -2.2 | 1.2 | -0.3 | -2.3 | 0.7 | 0.1 | -1 | -3.3 | -3.7 | -0.9 | 0 | -9.6 |
| 2012 | 1 | 0.6 | 0.5 | 0.5 | -1.9 | 3.8 | -0.3 | 1.3 | 1 | 0 | 0.4 | 1.8 | 9 |
| 2013 | 0.8 | 0.2 | -0.4 | -1.7 | -2.6 | -0.5 | 0 | 0.3 | 0.8 | -0.1 | -0.5 | 0.3 | -3.3 |
| 2014 | -1.1 | -0.4 | 0.1 | -0.9 | -0.7 | 0.5 | -0.6 | 0.1 | 0.2 | 0.5 | -1.5 | -1 | -4.7 |
| 2015 | -0.6 | 0.7 | 0.2 | 0.6 | -0.8 | 1.1 | 0.3 | -4.6 | 0.8 | 0.5 | 2.8 | -1 | -0.2 |
| 2016 | 0.2 | 3.2 | -0.6 | 0.3 | -0.2 | 0.5 | -1.1 | 0.5 | 0.8 | -0.4 | 1.1 | -0.7 | 3.5 |
| 2017 | 0.5 | 1.1 | -0.7 | 1 | -0.2 | -0.6 | 0.4 | 0.8 | 0.4 | 0.5 | 0.4 | -0.1 | 3.4 |
| 2018 | 0.5 | -0.7 | 0.8 | 0.5 | 0.7 | 0.5 | -0.8 | -1 | -0.1 | 1.6 | -1 | 0 | 0.9 |
| 2019 | -0.1 | 0.7 | 1.1 | -0.4 | 0 | -0.2 | -0.5 | 1.1 | -1.3 | 1 | -0.6 | -0.4 | 0.4 |
| 2020 | -2.5 | -2.8 | -3.4 | -5 | 4.9 | 1 | -1.9 | -0.1 | 0.8 | -0.5 | 2 | -0.6 | -8.1 |
| 2021 | 1.7 | 3.5 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 9.62 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 9.62 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 9.94 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 10.1 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 10.1 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 9.94 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
